Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 1 |
| Score | -4.78 | -4.98 | -7.65 |
| Market Cap (Millions USD) | 209.77 | 202.96 | 211.31 |
| Predicted Beta | 0.19 | 0.2 | 0.21 |
| Idiosyncratic Volatility | 1.23 | 1.22 | 1.72 |
Annualized return and volatility
| EWD | |
|---|---|
| Annualized Return | 0.0447 |
| Annualized Std Dev | 0.3100 |
| Annualized Sharpe (Rf=0%) | 0.1442 |
Row
Daily Return Statistics
| EWD | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1365 |
| Quartile 1 | -0.0082 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0094 |
| Maximum | 0.1328 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0195 |
| Skewness | 0.0237 |
| Kurtosis | 6.1283 |
Downside Risk
| EWD | |
|---|---|
| Semi Deviation | 0.0139 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0137 |
| Downside Deviation (0%) | 0.0137 |
| Maximum Drawdown | 0.7427 |
| Historical VaR (95%) | -0.0300 |
| Historical ES (95%) | -0.0469 |
| Modified VaR (95%) | -0.0292 |
| Modified ES (95%) | -0.0443 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-06 | 2002-10-09 | 2006-04-19 | -0.7427 | 1566 | 663 | 903 |
| 2007-07-13 | 2009-03-05 | 2011-04-21 | -0.6807 | 969 | 425 | 544 |
| 2011-05-03 | 2011-09-23 | 2013-03-07 | -0.3624 | 471 | 101 | 370 |
| 2014-05-22 | 2016-02-11 | 2017-05-02 | -0.2558 | 755 | 444 | 311 |
| 2018-01-25 | 2018-12-24 | NA | -0.2332 | 492 | 235 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 3.7 | 2.9 | 0.0 | -0.6 | 0.2 | 0.0 | -2.3 | 1.5 | 0.0 | -1.5 | 5.5 | 0.0 | 9.5 |
| 2001 | 0.6 | -1.8 | 0.0 | 2.2 | -2.3 | 0.0 | 0.5 | 0.0 | -4.1 | 1.2 | 0.0 | 0.0 | -3.7 |
| 2002 | 0.0 | 2.0 | 2.4 | 0.2 | 0.0 | 1.4 | 0.0 | 0.0 | 0.5 | 2.2 | 0.0 | 0.0 | 9.0 |
| 2003 | 0.0 | 0.0 | 1.7 | -0.4 | 0.0 | 0.6 | 0.7 | 0.0 | 0.7 | 0.0 | 2.6 | 0.0 | 6.1 |
| 2004 | 0.0 | 0.9 | 3.2 | 0.0 | -1.5 | -1.4 | 0.0 | 1.1 | 1.1 | 0.5 | 0.1 | 0.0 | 4.0 |
| 2005 | 1.7 | 0.2 | 0.2 | 0.0 | -0.8 | -0.4 | 0.8 | 0.9 | 0.0 | -0.3 | 2.3 | 0.0 | 4.8 |
| 2006 | -0.2 | 1.1 | 0.0 | -0.5 | 1.7 | 0.0 | -1.2 | 0.5 | 0.0 | 0.5 | 0.2 | 0.0 | 1.9 |
| 2007 | -0.1 | -1.7 | 0.0 | 0.0 | 0.7 | 0.0 | 0.1 | 0.0 | 1.3 | -2.7 | 0.0 | 0.0 | -2.5 |
| 2008 | 2.5 | 0.0 | 3.0 | 1.0 | 0.0 | -0.7 | -1.1 | 0.0 | -1.2 | 0.0 | -11.9 | 0.0 | -8.9 |
| 2009 | 0.0 | 0.0 | 6.5 | 1.3 | 5.1 | 3.3 | 0.0 | -4.6 | -3.7 | 0.0 | 2.7 | 0.0 | 10.6 |
| 2010 | 4.3 | 1.0 | 3.2 | 0.0 | -0.7 | 1.3 | 0.0 | 5.5 | 0.0 | -0.3 | 3.4 | 0.0 | 19.0 |
| 2011 | 1.1 | -1.5 | 0.9 | 0.0 | -2.3 | 1.1 | -2.4 | -1.5 | 0.0 | -5.0 | -1.5 | 0.0 | -10.7 |
| 2012 | 2.8 | 0.6 | 0.0 | 0.5 | -3.0 | 0.0 | -0.4 | 0.0 | 0.5 | 0.9 | 0.0 | 0.0 | 2.0 |
| 2013 | 2.2 | 0.9 | -0.5 | -0.5 | 0.0 | 1.6 | -0.1 | 0.0 | 1.5 | -1.1 | 0.0 | 0.0 | 4.2 |
| 2014 | 0.0 | 0.0 | 1.3 | -0.1 | 0.0 | 0.7 | -0.5 | 0.0 | -1.6 | 0.0 | -0.2 | 0.0 | -0.5 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.5 | -0.2 | 1.2 | 0.0 | -2.2 | -0.5 | 0.0 | 0.5 | 0.0 | -0.9 |
| 2016 | -0.7 | 2.1 | 0.1 | 0.0 | -0.2 | 0.4 | -1.0 | 0.6 | 0.0 | -0.4 | -0.3 | 0.0 | 0.6 |
| 2017 | 0.6 | 1.4 | 0.0 | 0.8 | 0.8 | 0.0 | 0.7 | 0.3 | 0.0 | -0.4 | -0.4 | 0.0 | 3.7 |
| 2018 | 0.9 | -1.3 | 0.0 | -0.7 | 1.2 | 0.0 | -0.2 | 0.0 | -0.3 | 1.5 | 0.0 | 0.0 | 1.1 |
| 2019 | 0.2 | 0.6 | 2.2 | -0.9 | 0.0 | 0.8 | -0.2 | 0.0 | -1.5 | 1.4 | 0.0 | 0.2 | 2.8 |
Row
Rolling Performance Chart
Snail Trail Chart
